Slice the zucchini and squash in half lengthwise and then into 1/2-inch thick slices. In a medium bowl, whisk together all of the ingredients for the sauce. Season to taste with salt and pepper. Set aside.

Preheat the grill to low heat. Lightly drizzle the vegetables with olive oil and toss to coat. Working in batches, place the vegetables onto the grill in a single layer. Close the lid and cook for 10-12 minutes, turning once. Transfer to a serving plate and serve alongside the cumin sauce.